Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

Fabian Kr ger (), Todd Clark and Francesco Ravazzolo

No No 8/2015, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

Abstract: This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in density accuracy than does just tilting based on the nowcast means. Hence entropic tilting can offer more so for persistent variables than not-persistent variables some benefits for accurately estimating the uncertainty of multi-step forecasts that incorporate nowcast information.

Keywords: Forecasting; Prediction; Bayesian Analysis (search for similar items in EconPapers)
Pages: 42 pages
Date: 2015-08
New Economics Papers: this item is included in nep-ets and nep-for
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts (2017)
Working Paper: Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts (2015)
Working Paper: Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0036

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